Sharp approximations of ruin probabilities in the discrete time models

DOI10.1080/03461238.2011.618761MaRDI QIDQ2868613zbMATH OpenOpenAlexFDO

Authors L. Gajek, Marcin Rudź

Publication date 17 December 2013

Published in Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03461238.2011.618761

zbMATH Keywords

approximationsSolvency IIruin probabilitiesdiscrete-time risk modelsrisk management based on internal modelsintegral operator generated by a risk processtheory of fixed points

Mathematics Subject Classification ID

Corporate finance (dividends, real options, etc.) (91G50)

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Cites work

• scientific article; zbMATH DE number 5299204 (Why is no real title available?)
• scientific article; zbMATH DE number 1128584 (Why is no real title available?)
• Approximations for the moments of ruin time in the compound Poisson model
• Approximations of ruin probabilities in mixed Poisson models with lattice claim amounts
• Discounted probabilities and ruin theory in the compound binomial model
• Methods for estimating the optimal dividend barrier and the probability of ruin
• On finite-time ruin probabilities for classical risk models
• On the deficit distribution when ruin occurs -- discrete time model
• Ruin probabilities in the discrete time renewal risk model
• Ruin probability in the continuous-time compound binomial model
• Simple approximations of ruin probabilities
• Two-Sided Bounds for Ruin Probabilities when the Adjustment Coefficient does not Exist

Cited in

(15)

• Deficit distributions at ruin in a regime-switching Sparre Andersen model
• Approximations of ruin probabilities in mixed Poisson models with lattice claim amounts
• Ruin probability about dual Poisson model with discrete time
• Banach contraction principle and ruin probabilities in regime-switching models
• Ruin probabilities by Padé's method: simple moments based mixed exponential approximations (Renyi, De Vylder, Cramér-Lundberg), and high precision approximations with both light and heavy tails
• General methods for bounding multidimensional ruin probabilities in regime-switching models
• A generalization of Gerber's inequality for ruin probabilities in risk-switching models
• Approximation of ruin probability and ruin time in discrete Brownian risk models
• scientific article; zbMATH DE number 1116594 (Why is no real title available?)
• Finite-horizon ruin probabilities in a risk-switching Sparre Andersen model
• Corrected normal approximation for the probability of ruin within finite time
• Discrete-time model of company capital dynamics with investment of a certain part of surplus in a non-risky asset for a fixed period
• What is the best approximation of ruin probability in infinite time?
• Finite-horizon general insolvency risk measures in a regime-switching Sparre Andersen model
• Approximations of the ruin probability in a discrete time risk model

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